You’ve downloaded your purchased Windows 10 ISO from Microsoft, and you’ve managed to create a bootable UEFI USB stick.
Now you’ve decided to run Windows 10 in VMWare Fusion Pro on your Mac. Yet the USB stick can NOT be booted from.
There is a solution. VMWare fusion has some (unsupported) EFI options you can enable to effect a USB boot.
First you’ll want to create a Windows 10 VM in VMWare Fusion.
Create a new VM, and select the more options icon:
Select Create a custom virtual machine and select Continue:
Select Windows 10 as the operating system, and select Continue – x64 is selected here as I’m 64 bit all the way:
Leave the virtual disk options and select Continue:
On the Summary Screen, you can use the Customize Settings button to change your VM defaults. I updated my RAM to 8GB, my CPU Cores to 2, and changed the VM Disk size to 100GB (60GB may be a bit small for most power users).
Before you start the VM; you’ll need to modify the vmx file directly.

In the Virtual Machine Library, right click on the Windows 10 VM and select Show in Finder.

Right click on the vmwarevm container and select Show Package Contents

Edit the *.vmx file using your favourite text editor

Append the following options to the configuration to enabled EFI booting:

firmware = "efi"
efi.legacyBoot.enabled = "true"

The Legacy boot option allows VMWare to see the USB device in some cases; and was required for me.
Boot your new VM:
You’ll find that the new EFI boot loaders are picked up, but not yet the USB. Since you couldn’t attach a USB before starting, you can do it now. Open the VM preferences and attach the USB containing the EFI Boot files:
VMWare will now boot into the Windows 10 setup.
Thanks to a post by A Virtual Den for pointing me in the right direction for the VMX LegacyBoot option!